You could use html/css-likes styles, i.e just wrap your text inside tags:
item.setData( QtCore.Qt.UserRole, "<b>{0}</b>".format('data to store for this QListWidgetItem'))
Another option is setting a font-role:
item.setData(0, QFont("myFontFamily",italic=True), Qt.FontRole)
Maybe you'd have to use QFont.setBold() in your case. However, using html-formating might be more flexible at all.
In the case of a combo-box use setItemData():
# use addItem or insertItem (both works)
# the number ("0" in this case referss to the item index)
combo.insertItem(0,"yourtext"))
#set at tooltip
combo.setItemData(0,"a tooltip",Qt.ToolTipRole)
# set the Font Color
combo.setItemData(0,QColor("#FF333D"),Qt.BackgroundColorRole)
#set the font
combo.setItemData(0, QtGui.QFont('Verdana', bold=True), Qt.FontRole)
Using style-sheet formating will not work for the Item-Text itself, afaik.